Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0183
Annualized Std Dev 0.3406
Annualized Sharpe (Rf=0%) 0.0537

Row

Daily Return Statistics

Close
Observations 3489.0000
NAs 1.0000
Minimum -0.1495
Quartile 1 -0.0086
Median 0.0010
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0105
Maximum 0.1932
SE Mean 0.0004
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0010
Variance 0.0005
Stdev 0.0215
Skewness -0.1682
Kurtosis 10.0996

Downside Risk

Close
Semi Deviation 0.0156
Gain Deviation 0.0152
Loss Deviation 0.0171
Downside Deviation (MAR=210%) 0.0198
Downside Deviation (Rf=0%) 0.0155
Downside Deviation (0%) 0.0155
Maximum Drawdown 0.8512
Historical VaR (95%) -0.0318
Historical ES (95%) -0.0527
Modified VaR (95%) -0.0316
Modified ES (95%) -0.0488
From Trough To Depth Length To Trough Recovery
2007-12-27 2012-07-24 2021-01-07 -0.8512 3280 1153 2127
2021-01-25 2021-03-08 NA -0.2529 40 30 NA
2007-11-09 2007-11-21 2007-12-24 -0.1651 31 9 22
2007-07-16 2007-08-17 2007-09-24 -0.1559 50 25 25
2007-06-06 2007-06-12 2007-06-28 -0.0599 17 5 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0.1 0.7 -0.1 2.9 2.5 -1.8 1.2 -1.2 4.1
2008 2.5 -2.1 1.4 -2.2 5.3 -2.1 -1.8 0.3 2.5 1.8 -11.4 3.4 -3.5
2009 0 -3.4 2.1 1 3.1 1.1 -0.8 -2.4 -4.9 -3.6 2.6 -0.4 -5.8
2010 2.5 0.7 0.9 -3.2 -2.5 2.1 -2.2 3.7 -0.7 -1.1 2.1 0.3 2.4
2011 1.9 -1.6 -0.8 1.2 -3.1 1.1 -1.2 -2.5 -3.4 -3.6 -0.4 0.6 -11.5
2012 2.8 0.2 0.4 1.5 -3 4 -2 1.2 0.1 1.7 -0.6 1.7 8.1
2013 0.8 -1 -0.6 -2.1 -2.8 2.4 1 -0.3 3.4 0.5 0.5 0.2 1.8
2014 -1.1 -0.9 2.1 0.6 -0.6 0.6 -0.4 0.8 -2.5 2.7 -2.9 -0.1 -1.8
2015 -0.3 0.1 0.5 0.4 -0.1 -0.1 -1.9 -2.9 -0.2 -1.1 1.5 -0.3 -4.3
2016 0.9 0.6 0.1 -0.3 0.7 1.1 -0.5 0.1 0.4 -2.1 -1.5 0.2 -0.2
2017 0.7 1.4 0.3 0.5 1 1.4 -0.7 0.4 0.4 0 -0.7 0.4 5.4
2018 0.3 -1.3 1.5 -1.1 0.1 1.3 -0.6 0.1 0.5 2.5 -0.6 -0.2 2.4
2019 0.2 -0.6 2.2 -1.2 -1.1 1.9 -0.6 0.5 -1.5 1.1 -0.1 0.2 0.9
2020 -2 -0.1 -6 -5 1.7 0.2 -1 0.1 2.9 -2 -0.8 0.5 -11.1
2021 2.3 3.6 2.1 NA NA NA NA NA NA NA NA NA 8.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-09  121. SPY    151.  2.70e-3  0.0108    0.0453   0.041     0.142    0.352    0.438 GLD    67.4 -0.0063   0.0119
2 2007-05-10  119. SPY    150. -1.05e-2 -0.0051    0.0386   0.0314    0.128    0.360    0.372 GLD    66   -0.0215  -0.0221
3 2007-05-11  121. SPY    151.  8.60e-3 -0.0004    0.0429   0.0481    0.138    0.386    0.400 GLD    66.4  0.0068  -0.0255
4 2007-05-14  120. SPY    151. -2.20e-3 -0.0028    0.0359   0.0494    0.150    0.372    0.424 GLD    66.3 -0.0026  -0.0289
5 2007-05-15  119. SPY    151.  3.00e-4 -0.00120   0.0264   0.0409    0.165    0.363    0.396 GLD    66.5  0.0039  -0.0197
6 2007-05-16  121. SPY    152.  6.80e-3  0.00290   0.0307   0.0411    0.171    0.378    0.375 GLD    65.6 -0.0141  -0.0274
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart